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Displaying results 1 to 6 of 6.

  1. When do Treasuries Earn the Convenience Yield?
    A Hedging Perspective
    Author: Acharya, Viral V.; Laarits, Toomas
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market... more

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    We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the aggregate stock-bond covariance into terms corresponding to the convenience yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the convenience yield itself drives the effect in a substantive capacity. We show the convenience yield is reduced with heightened inflation expectations that erode the hedging properties of U.S. Treasuries and other fixed-income money-like assets, inducing a switch to alternatives such as gold; it is also reduced immediately prior to debt-ceiling standoffs and with increases in Treasury supply

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31863
    Subjects: Rendite; Staatspapier; Hedging; Anlageverhalten; USA; Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit; International Finance; Portfolio Choice; Investment Decisions; Asset Pricing; Trading Volume; Bond Interest Rates; International Financial Markets
    Scope: 1 Online-Ressource, illustrations (black and white)
    Notes:

    Hardcopy version available to institutional subscribers
  2. Measuring The Natural Rate Using Natural Experiments
    Author: Bäcker-Peral, Verónica; Hazell, Jonathon; Mian, Atif
    Published: October 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Every month, a fraction of UK property leases are extended for another 90 years or more. We use new data on thousands of these natural experiments from 2003 onwards to estimate the "natural rate of return on capital", \(r_K^\text{*}\), which also... more

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    Every month, a fraction of UK property leases are extended for another 90 years or more. We use new data on thousands of these natural experiments from 2003 onwards to estimate the "natural rate of return on capital", \(r_K^\text{*}\), which also represents the long-run dividend-price ratio. \(r_K^\text{*}\) stays around 4.8% between 2003 and 2006, but starts to fall at the onset of the Great Recession, reaching a low of 2.3% in 2022. Real-time monthly data shows a modest uptick in \(r_K^\text{*}\) in 2023 thus far. The natural experiment approach to measuring \(r_K^\text{*}\) is precise, avoids misspecification concerns and provides real-time estimates using publicly available data

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31760
    Subjects: Wohnimmobilien; Rendite; Schätzung; Wohneigentum; Leasing; Leasingrecht; Experiment; Großbritannien; Money and Interest Rates; General; Monetary Policy, Central Banking, and the Supply of Money and Credit; Household Finance
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  3. War Discourse and Disaster Premia
    160 Years of Evidence from Stock and Bond Markets
    Author: Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong
    Published: May 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of... more

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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse addresses the challenge of sample size even when major disasters are rare. Our methodology avoids look-ahead bias and addresses semantic shifts. War discourse positively predicts market returns, with an out-of-sample R2 of 1.35%, and negatively predicts returns on short-term government and investment-grade corporate bonds. The predictive power of war discourse increases in more recent time periods

     
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  4. Belief overreaction and stock market puzzles
    Author: Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
    Published: [2023]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: June, 2023
    Series: Working paper series / IGIER ; n. 700
    Subjects: Börsenkurs; Aktienmarkt; Rendite; Erwartungsbildung; Theorie
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  5. Portfolio Management in Private Equity
    Author: Brown, Gregory W.; Fei, Celine Yue; Robinson, David T.
    Published: September 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of... more

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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we show that these portfolio considerations are important for understanding fund-level private equity returns. The largest investments in PE funds typically have the lowest returns on average, but are also the least risky. Returns and risk are both increasing in industry or geographic concentration. And while GP-specific return variation (e.g., skill) only accounts for 4%-6% of the total return variation of a typical investment, it accounts for around 40% of the return variation at the fund level. These findings show that GPs use portfolio construction, and not just deal selection, to seek risk-adjusted fund-level returns

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31664
    Subjects: Portfolio-Management; Private Equity; Investmentfonds; Rendite; Anlageverhalten; Portfolio Choice; Investment Decisions; Financial Institutions and Services; General; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  6. Reaching for yield: evidence from households
    Author: Gomes, Francisco J.; Peng, Cameron; Smirnova, Oksana; Zhu, Ning N.
    Published: October 2023
    Publisher:  [LSE Financial Markets Group], [London]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / [Financial Markets Group] ; no 887
    Subjects: Anlageverhalten; Rendite; Portfolio-Management; Privater Haushalt; Prospect Theory; China
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen